Exact simulation of stochastic volatility models based on conditional Fourier-cosine method
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Cites work
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
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- Exact simulation of the 3/2 model
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- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
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- Exact simulation of the SABR model
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- Fifty years at the interface between financial modeling and operations research
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- Note on the inversion theorem
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- On the Bessel distribution and related problems
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- Precise option pricing by the COS method -- how to choose the truncation range
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- Some results following from conditional characteristic functions
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- The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
- The Fourier-series method for inverting transforms of probability distributions
- The metalog distributions
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Unified moment-based modeling of integrated stochastic processes
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